另類投資:管理期貨基金之研究與其對資產管理之影響

Alternative Investment: Managed Futures Funds Analysis and The Impact on Portfolio Management

陳雯卿(Wen-Ching Chen)

指導教授 ： 李存修

國立臺灣大學/管理學院/企業管理碩士專班/碩士(2010年)

https://doi.org/10.6342/NTU.2010.10082

摘要

無資料

關鍵字

管理期貨基金

並列摘要

The purpose of this thesis is to evaluate managed futures performance and investigate the impact on asset allocation. The first part gives brief introduction to managed futures funds. The characteristics, and related literature reviews of managed futures funds are provided in chapter 2. Chapter 3 summarizes the main strategies, style performance analysis and a case study to gain further understandings. Following to that, chapter 4 focuses on three parts:
(1) Benefits of including managed futures into portfolios in early research: this part provide a basic examination of impact on different asset portfolios. The results indicated that efficient frontiers are enhanced as risk-adjusted investment opportunities expand thanks to the low correlation between managed futures and stock, bond, and hedge fund indices.
(2) Using mathematic methods to find out the minimum variance portfolio (MVP), the global minimum variance portfolio (GMVP), and the best allocation of risk-free and risky asset portfolio.
(3) The third part utilizes the mathematic formulas to find out the MVP, GMVP of different asset portfolios and provides performance comparisons.
The results are consistent with early research: managed futures funds can help to improve portfolio performances by lowering the overall portfolio volatility.

並列關鍵字

Managed Futures Funds

參考文獻

English Reference:

Edwards, F. R. and J. Liew (1999). "Managed commodity funds." The Journal of Futures Markets, Vol 19, Issue 4, pp.377-411

Franklin, R. E. and M. P. James (1996). "DO MANAGED FUTURES MAKE GOOD INVESTMENTS?" The Journal of Futures Markets, Vol 16, Issue 5, pp.475-517

Franklin, R. E. and L. Jimmy (1999). "Hedge funds versus managed futures as asset classes." Journal of Derivatives, Vol 6, Issue 4, pp.45-64

Greg, N. G. and C. Yao (2006). "Evaluation of Commodity Trading Advisors using fixed and variable and benchmark models." Annals of Operations Research, Vol 145, Issue1, pp.183-200.